I'll admit I felt a bit odd arriving in a gym and then being taken to a different small room, but the guy at the reception was really nice and helpful. My masseuse was also lovely. She started the massage a bit strongly (although it was sort of my first massage, so what do I know), but as soon as I asked her to be a bit more "gentle", she did, and it was nice and very relaxing. Would recommend.
Probably the best massage I've had! I asked the masseuse for a strong massage and she certainly delivered - all the knots in my shoulders are gone and my tight hamstrings feel much better. The only (minor) criticism is that they don't have their own waiting room and instead use the Soho Gyms one whilst waiting for the masseuse to collect you.